Here is how I did it:

* Click the title of the velocity pane
* From the pop-up menu choose "Manage presets…"
* Now the preset browser is visible
* Click the folder icon in the bottom right corner
* Click "New Folder"
* Use the name "My Presets"
* Double-click the new folder
* The new folder should have opened.
* Click "Import"
* A file dialog is shown where I can select and "Open" my mfxp file where I previously stored it on iCloud Drive
* The file is shown under the title "Pianoteq/Presets/My Presets"